Optimal Portfolio Choice with Cross-Impact Propagators
By Eduardo Abi Jaber, Eyal Neuman, Sturmius Tuschmann
Rating
1430
Battle Count: 7
Relevance
9/10
Highly relevant for developing sophisticated multi-asset trading strategies that account for cross-impact effects
Implementation Complexity
8/10
Requires advanced mathematical knowledge and numerical methods for implementation
Reproducibility
4/5
Detailed mathematical proofs and explicit solutions provided, along with numerical implementation guidelines
About this paper
Methodology: Stochastic Control. Problem types: Portfolio Optimization, Optimal Execution.
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